Welcome

I am an Associate Professor in Izmir Bakircay University, Department of Economics. My primary research goals are directed towards theoretical development of time series and econometric methods and applying these methods for asymptotic and small sample inference in economic/financial problems. In particular, my research focuses on estimating and testing seasonal and zero frequency integration and cointegration properties of the economic and financial variables by utilizing different econometric tools and concepts such as wavelets, fractional integration, regulated (bounded) processes, nonstationary volatility, and bootstrapping. 

Besides the integration and cointegration framework, I am also interested in combining the above toolset with financial econometric models. Some particular examples are i) applying wavelets in pairs trading and jump detection, ii) employing the fractional generalized autoregressive score models on the value-at-risk and expected shortfall estimation and long-memory volatility, iii) modeling time-varying volatility models enhanced with the conditional score methods.

Finally, I intend to contribute to the examination of empirical macroeconomic and financial problems. In these empirical studies, I utilize and extend various econometric techniques to improve these problems’ inference and policy decisions.